Sergio Focardi

De Vinci Research Center


Sergio Focardi

Sergio Focardi is professor and researcher at the Finance Group, ESILV EMLV, of the Pole Universitaire De Vinci, Paris, and a founding partner of The Intertek Group, Paris . Sergio is a member of the Editorial Board of the Journal of Portfolio Management. He has (co-)authored numerous articles and books. Sergio's research interests include the econometrics of large equity portfolios, for which he has developed proprietary models, and forecasting trend reversals and large market swings. He consults on financial modeling.

sergio.focardi@devinci.fr

Publications


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Journal Articles

Robert Engle; Sergio Focardi; Frank Fabozzi

Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management Journal Article

Journal of Portfolio Management, 42 (5), pp. 94-106, 2016.

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Sergio M. Focardi, Frank J. Fabozzi; Ivan Mitov

A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance Journal Article

Journal of Banking and Finance, 2016.

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Gui Citovski Sergio Focardi

A novel view of suprathreshold stochastic resonance and its applications to financial markets Journal Article

Frontiers Applied Mathematics and Statistics, 2015.

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Sergio Focardi; Frank Fabozzi

Economics : An Empirical Science Capable of Forecasting Economic Events ? Journal Article

The Journal of Portfolio Management, 41 (4), pp. 145-151, 2015.

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Sergio M. Focardi

Is economics an empirical science? If not, can it become one? Journal Article

Frontiers Applied Mathematics Statistics , 2015.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

Investment Management: A Science to Teach or an Art to Learn? Journal Article

CFA Institute Research Foundation, 2014 (3), 2014.

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Sergio Focardi; Frank Fabozzi

Factor Uniqueness in the S&P 500 Universe: Can Proprietary Factors Exist? Journal Article

International Journal of Theoretical and Applied Finance, 16 (4), 2013.

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Sergio Focardi; Frank Fabozzi

What’s Wrong with Today’s Economics? Journal Article

Journal of Portfolio Management, 38 (3), pp. 104-119, 2012.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

High-Frequency Trading: Methodologies and Market Impact Journal Article

Review of Futures Market, 19 (Special Issue), pp. 7-38, 2011.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

The Impact of the Financial Crisis on the Asset Management Industry Journal Article

Research Foundation of CFA Institute, 2010 (1), 2010.

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Sergio Focardi; Frank Fabozzi

The Reasonable Effectiveness of Mathematics in Economics Journal Article

The American Economist, 55 (1), pp. 19-30, 2010.

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Dashan Huang; Baimin Yu; Zudi Lu; Sergio Focardi; Frank Fabozzi; Masao Fukushima

Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model Journal Article

Studies in Nonlinear Dynamics and Econometrics, 14 (2), pp. 1, 2010, ISSN: 1558-3708.

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Sergio Focardi; Frank Fabozzi

Black Swans and White Eagles: On Mathematics and Finance Journal Article

Mathematical Methods of Operations Research, 69 (3), pp. 379-394, 2009, ISSN: 1432-5217.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

Considerations on the Challenges in Quantitative Equity Management Journal Article

Quantitative Finance, 8 (7), pp. 649-665, 2008.

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Wesley Phoa; Sergio Focardi; Frank Fabozzi

How Do Conflicting Theories about Financial Markets Coexist? Journal Article

Journal of Post Keynesian Economic, 29 (3), pp. 363-391, 2007.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

Trends in Quantitative Equity Management: Survey Results Journal Article

Quantitative Finance, 7 (2), pp. 115-122, 2007.

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Frank Fabozzi; Petter Kolm; Dessislava Pachamanova; Sergio Focardi

Robust Portfolio Optimization Journal Article

The Journal of Portfolio Management, 33 (3), pp. 40-48, 2007.

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Frank Fabozzi; Sergio Kolm Petter Focardi

A Simple Framework for Time Diversification Journal Article

Journal of Investing, 15 (3), pp. 8-18, 2006.

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Frank Fabozzi; Sergio Kolm Petter Focardi

Trends in Quantitative Finance Journal Article

Research Foundation of CFA Institute Monograph, 36 (3), 2006.

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Frank Fabozzi; Sergio Kolm Petter Focardi

Incorporating Trading Strategies in the Black-Litterman Framework Journal Article

Journal of Trading, 1 (2), pp. 28-37, 2006.

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Sergio Focardi; Frank Fabozzi

Contagion Modeling in Market and Credit Risk: Does It Add Value? Journal Article

Risk Letters, 1 (2), 2005.

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Sergio Focardi; Frank Fabozzi; Caroline Jonas

Market Experience with Modeling for Defined-Benefit Pension Funds : Evidence from Four Countries Journal Article

Journal of Pension Economics and Finance, 4 (3), pp. 313-327, 2005.

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Frank Fabozzi; Sergio Focardi; Christopher Ma

Implementable Quantitative Research Journal Article

Journal of Alternative Investments, 8 (2), pp. 71-79, 2005.

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Sergio Focardi; Frank Fabozzi

An Autoregressive Conditional Duration Model of Credit-Risk Contagion Journal Article

Journal of Risk Finance, 6 (3), pp. 208-225, 2005.

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Frank Fabozzi; Sergio Kolm Petter Focardi

Financial Modeling of Transaction and Trading Costs: Overview and Practice Journal Article

Finance Letters, Special Issue on Financial Modeling of the Equity Markets, 3 (1), 2005, ISBN: 13-978-0471-69900-2.

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Frank Fabozzi; Sergio Kolm Petter Focardi

Introduction Journal Article

Finance Letters, Special Issue on Financial Modeling of the Equity Markets, 3 (1), 2005, ISBN: 13-978-0471-69900-2.

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Books

F. Fabozzi,; S. Focardi,; C. Jonas,

Equity Valuation: Science, Art, or Craft? Book

CFA Institute, 2017.

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Sergio Focardi

Money: What it is, how it’s created, who gets it, and why it matters Book

Routledge, 208 p., 2017.

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Sergio Focardi; H. Fallaghoul; F. Fabozzi

Fractional Calculus and Fractional Processes with Applications to Financial Economics, Book

John Wiley & Sons,105 pages, 2016.

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Frank Fabozzi; Sergio Focardi; Svetlozar Rachev; Bala Arshanapalli; Markus Hoechstoetter

The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications Book

2014, ISBN: 978-1-118-57320-4.

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Sergio Focardi; Frank Fabozzi; Turan Bali

Mathematical Methods for Finance: Tools for Asset and Risk Management Book

2013, ISBN: 978-1-118-31263-6.

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Svetlozar Rachev; Markus Hoechstoetter; Frank Fabozzi; Sergio Focardi

Probability and Statistics for Finance Book

2010, ISBN: 978-0-470-40093-7.

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Frank Fabozzi; Sergio Focardi; Petter Kolm

Quantitative Equity Investing: Techniques and Strategies Book

2010, ISBN: 978-0-470-26247-4.

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Frank Fabozzi; Petter Kolm; Dessislava Pachamanova; Sergio Focardi

Robust Portfolio Optimization and Management Book

2007, ISBN: 978-0-471-92122-6.

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Svetlozar Rachev; Stefan Mittnik; Frank Fabozzi; Sergio Focardi; Teo Jašic

Financial Econometrics: From Basics to Advanced Modeling Techniques Book

2007, ISBN: 978-0-471-78450-0.

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Frank Fabozzi; Sergio Focardi; Petter Kolm

Financial Modeling of the Equity Market: From CAPM to Cointegration Book

2006, ISBN: 978-0-471-69900-2.

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Book Chapters

Svetlozar Rachev; Stefan Mittnik; Frank Fabozzi; Sergio Focardi; Teo Jasic

Encyclopedia of Financial Models, Regression Analysis: Theory and Estimation Book Chapter

Econometrics, Financial (Ed.): 2012.

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Frank Fabozzi; Sergio Focardi

Voices of Wisdom: Understanding the Global Financial Crisis Book Chapter

Chapter What Can We Understand About Economics?, 2010.

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Frank Fabozzi; Petter Kolm; Dessislava Pachamanova; Sergio Focardi

Handbook of Finance, Quantitative Investment Management: Today and Tomorrow Book Chapter

Sons, John Wiley & (Ed.): 2008.

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Frank Fabozzi; Sergio Focardi; Petter Kolm; Robert Johnson

Handbook of Finance, Overview of Active Common Stock Portfolio Strategies Book Chapter

Sons, John Wiley & (Ed.): 2008.

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Frank Fabozzi; Sergio Focardi; Petter Kolm

Handbook of Finance, Quantitative Modeling of Transaction and Trading Costs Book Chapter

Sons, John Wiley & (Ed.): 2008.

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Robert Engle; Sergio Focardi; Frank Fabozzi

Handbook of Finance, ARCH/GARCH Models in Applied Financial Econometrics Book Chapter

Sons, John Wiley & (Ed.): 2008.

BibTeX

Sergio Focardi

Financial Management and Asset Management Book Chapter

Sons, John Wiley & (Ed.): 2 , Chapter Handbook of Finance, 2008, ISBN: 978-0-470-07815-0.

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Sergio Focardi; Frank; Fabozzi

Handbook of Finance, Valuation, Financial Modeling, and Quantitative Tools Book Chapter

Fabozzi, Frank (Ed.): 3 , 2008, ISBN: 978-0-470-07816-7.

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Frank Fabozzi; Sergio Focardi; Petter Kolm; William Sackley

Handbook of Finance, Incorporating Trading Strategies in the Black-Litterman Framework Book Chapter

Sons, John Wiley & (Ed.): 2006.

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Silvano Cincotti; Sergio Focardi; Linda Ponta; Marco Raberto; Enrico Scalas

Economics and Heterogeneous Interacting Agents, The waiting-time distribution of trading activity in a double auction artificial financial market Book Chapter

Namatame, Akira ; Kaizouji, Taisei ; Aruka, Yuuji (Ed.): 567 (2006), pp. 239-247, Springer-Verlag, Berlin, Germany, 2006, ISBN: 978-3-540-28727-8.

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Marco Raberto; Silvano Cincotti; Christian Dose; Sergio Focardi; Michele Marchesi

Nonlinear Dynamics and Heterogenous Interacting Agents, Price formation in an artificial market: limit order book versus matching of supply and demand Book Chapter

Lux, Thomas ; Samanidou, Eleni ; Reitz, Stefan (Ed.): 550 (2005), pp. 305-315, Springer-Verlag, Berlin, Germany, 2005, ISBN: 978-3-540-27296-0.

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Inproceedings

Focardi, S.; Raberto, M.; Ponta, L.

A multi-agent stock-flow consistent model of an economy with a banking system Inproceedings

EAEPE Annual Conference, Budapest, 19-21 October , 2017.

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Technical Reports

Frank Fabozzi; Sergio Focardi; Caroline Jonas

Intertek 2006 Survey Trends in Equity Portfolio Modeling Technical Report

2006.

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Frank Fabozzi; Sergio Focardi; Caroline Jonas

Intertek Can Modeling Help Deal with the Pension Funding Crisis Technical Report

2004.

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